In order to use saved RDP or Terminal Server credentials you need to do the following:
1. On the local machine, Open Group Policy Editor via Run -> gpedit.msc
2. Navigate to Local Computer Policy>Computer Configuration>Administrative Templates>System>Credentials Delegation
3.Open Setting Allow Delegating Saved Credentials with NTLM-only Server Authentication, set it to Enabled click on button Show... and in Show Contents window add Value TERMSRV/*. Close the windows by pressing OK.
*Repeat step 3 on the following settings:
Allow Delegating Default Credentials
Allow Delegating Saved Credentials
Allow Delegating Default Credentials with NTLM-only Server Authentication
4. Open comman prompt and enter gpupdate /force command to update your policy.